台灣證交所個股成交量與價格波動性、報酬率關係之實證研究

The Relationship between Stock Trading Volume and Price Volatility with the Rate of Return on TWSE

本研究以台股集中市場個股為對象，設計Excel VBA程式及運用SPSS統計軟體，探討每日熱門股（日成交量排行前20名）、日成交量顯著放大個股（日成交量較前一交易日淨放大2倍以上）的同期量價關係與大盤及其他個股是否存在明顯差異。並以量縮賣出策略，進行模擬交易以檢驗每日熱門股、日成交量顯著放大個股的報酬率是否高於大盤及探討影響報酬率的因素。實證結果顯示，每日熱門股與日成交量顯著放大個股，當日股價漲幅明顯優於大盤及其他個股；量縮賣出交易策略的平均報酬率的影響隨篩選個股條件不同而有差異；影響報酬率的因素中，以量放大日樣本與大盤漲幅差-5%以下、五日乖離率-8%以下、二十日乖離率-10%以下等三項的正面作用最明顯。

In this study, the Taiwan stock market stocks for the centralized target, design and use Excel VBA program SPSS statistical software, explore the daily hot stocks (former daily turnover ranked 20), daily trading volume significantly enlarged stock (volume over the previous trading day Day 2 times net enlarge) volume and price-year relationship with the broader market and other stocks if there are significant differences. And the amount of shrinkage selling strategy, simulated trading to test daily hot stocks, stock trading volume significantly enlarge the rate of return is higher than the market and explore the factors that affect rate of return. The empirical results show that hot stocks with daily trading volume significantly enlarge stocks, the day the stock rose significantly outperform and other stocks; the amount of shrinkage in the average selling rate of return trading strategies with the screening of the impact of different conditions are different stocks; influence remuneration Factors rates in order to magnify the amount of the difference between the date the sample with the broader market rose to 5% or less, five days a deviation rate of 8% or less, twenty days -10% deviation rate positive effects such as the following three of the most obvious.